Hedge Funds Find Safety in a Once Hated Currency

In a new report, MacNeil Curry, CFA, CMT of BAML notes hedge fund buying of the Euro against the dollar. The currency of the troubled continent appears to be viewed as a safe haven once again. However, because this report is based on data from before the massive selloff, it could prove to be premature to call the Euro a favored currency. According to Curry, Large speculators aggressively bought euro to a net long of $2.7bn from a net short of -$1.0bn notional last week. Positioning moved to a net long for the first time since February 2013. Hedge funds reduced their net long US $ Index positions to $1.2bn from $3.5bn notional. Positioning moved out of a crowded long. The US dollar has resumed its 2yr bull trend following the rally.

Short strategies bought market exposure last week, while Macro hedge funds slightly reduced their net long positions to the S&P 500 (INDEXSP:.INX) and NASDAQ. Long Short exposure remains below benchmark. Both Market Neutral and Long Short strategies leaned further toward disinflationary expectations.

Ahead of last week’s Fed meeting, Large speculators sold the USD index out of a crowded long and turned net long EURUSD. They sold Wheat into a crowded short. Data are as of last Tuesday (June 18). Investable Hedge Fund Composite Index down 1.03% month-to-date The Investable Hedge Fund Composite Index was down 1.03% for the month, as of June 19, worse than the S&P 500 index’s price return of down 11bps. Convertible Arbitrage & Merger Arbitrage performed the best, up 0.19% and down a mere 0.04%, respectively. The Managed Futures category performed the worst, falling 2.36%. For details, refer to the weekly performance of the investable index and monthly performance data of the Global Diversified Hedge Fund Index on
pages 15-19.

Yale University's Robert Shiller offers his take on the bond market, with CNBC's Bertha Coombs and the Futures Now traders.
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Weitz Value Fund commentary for the second quarter ended June 30, 2017.
H/T Dataroma
The Weitz Value Fund's Institutional Class returned +2.11% in the second calendar quarter, compared to +3.09% for... read more

Crescat Capital commentary for the month ended January 31, 2017.
2016 Hedge Fund Letters
Global Fiat Debasement was our best performing macro theme for the month across all three Crescat products... read more

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